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六姑娘 · 2023年08月03日

按照讲义，12%小于15%，不应该是高估吗？

  1. CFA I
  2. Portfolio

NO.PZ2023021601000029

问题如下：

The following table shows data for the stock of JKU and a market index.


Based on the capital asset pricing model (CAPM), JKU is most likely: (2016

选项：

A.overvalued. B.fairly valued. C.undervalued.

解释：

βJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 and E(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The required rate of return of JKU is 12%, and the expected return of JKU is 15%. Therefore, JKU is undervalued relative to the security market line (SML); the risk–return relationship lies above the SML.



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luckygrace · 2024年04月26日

题目里expected return15%. CAPM 12%，这不刚好是第二种情况吗？

2 个答案

Kiko_品职助教 · 2024年04月27日

嗨，努力学习的PZer你好：


expected return of JKU这是市场上预估出来的收益率，market estimated return。

CAPM算出来的收益率，才是expected return from the SML。

是第一种情况。

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Kiko_品职助教 · 2023年08月03日

嗨，爱思考的PZer你好：


市场预估15%，而通过CAPM计算出来的合理收益率是12%，这不是讲义里面说的第一种情况吗。

market estimated return并不是指这道题里面的return of market index，我们比较的是 JKU这只股票的市场预估收益率和合理预期收益率，这样才能判断高估低估。

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NO.PZ2023021601000029问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalueB.fairly valueC.unrvalueβJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML.请问答案的unrvalue指代对象是谁呢？是CAPM模型低估了股票收益率，还是市场表现出来的价格低估了股票真实收益？

2024-04-26 20:32 2 · 回答

NO.PZ2023021601000029 问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalue B.fairly value C.unrvalue βJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML. 市场预估收益率高于合理收益率为什么不是高估？

2024-04-03 18:59 1 · 回答

NO.PZ2023021601000029问题如下 The following table shows ta for the stoof JKU ana market inx.Basen the capitasset pricing mol (CAPM), JKU is most likely: (2016 A.overvalueB.fairly valueC.unrvalueβJKU = ρJKU,M × σJKU/sM = 0.75 × 0.2/0.15 = 1.0 anE(RJKU) = RFR + βJKU x (RM – RFR) = 0.05 +1 x (0.12 – 0.05) = 0.12. The requirerate of return of JKU is 12%, anthe expectereturn of JKU is 15%. Therefore, JKU is unrvaluerelative to the security market line (SML); the risk–return relationship lies above the SML.可以理解为 return越高 价格越低 所以 unrvalue 吗

2024-01-24 08:48 1 · 回答